Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0437 |
| Annualized Std Dev | 0.2069 |
| Annualized Sharpe (Rf=0%) | 0.2113 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1189 |
| Quartile 1 | -0.0045 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1137 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | -0.3733 |
| Kurtosis | 13.3485 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.6511 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0325 |
| Modified VaR (95%) | -0.0190 |
| Modified ES (95%) | -0.0295 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2013-04-30 | -0.6511 | 1488 | 445 | 1043 |
| 2020-01-17 | 2020-03-23 | 2021-03-15 | -0.4134 | 291 | 45 | 246 |
| 2018-01-29 | 2018-12-24 | 2020-01-14 | -0.2117 | 494 | 229 | 265 |
| 2014-12-30 | 2016-01-20 | 2016-07-08 | -0.1726 | 384 | 266 | 118 |
| 2013-05-22 | 2013-06-24 | 2013-07-15 | -0.0612 | 37 | 23 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.8 | -0.5 | 0.2 | -0.4 | -0.2 | -0.1 | -0.3 | -0.6 |
| 2007 | 0.6 | -0.2 | -0.2 | 0.3 | 0.3 | -0.2 | 1.1 | 0.8 | 1.8 | -2.5 | 1.3 | -0.3 | 2.7 |
| 2008 | 2.4 | -2.8 | 4.3 | 2.6 | -0.5 | 0.6 | -0.3 | -0.8 | 0.8 | 1.6 | -10.1 | 2.4 | -0.5 |
| 2009 | -3.2 | -2.8 | 1.8 | 0.4 | 3.5 | 0.9 | -0.3 | -1.5 | -1.8 | -2.1 | 1.6 | -1.1 | -4.8 |
| 2010 | 0.9 | 1 | 0.7 | -1.1 | -1.6 | -0.3 | 0 | 2.5 | 0.3 | -0.3 | 2.1 | -0.1 | 4.2 |
| 2011 | 1.3 | -1.2 | 0.3 | 0.2 | -1.8 | 1.4 | -0.3 | -0.9 | -1.5 | -2.2 | -0.2 | -0.2 | -5.1 |
| 2012 | 1 | 0.4 | 0.4 | 0.2 | -2 | 2.2 | 0.1 | 0.2 | 0 | 0.8 | 0.3 | 1.6 | 5.3 |
| 2013 | 0.8 | 0.2 | -0.5 | -1 | -1.3 | 0.4 | 1.3 | -0.3 | 0.5 | 0.4 | -0.2 | 0.2 | 0.5 |
| 2014 | -0.2 | 0.5 | 0.2 | -0.1 | 0.3 | 0.2 | -0.1 | 0.4 | -1 | 0.7 | 0 | -1 | -0.1 |
| 2015 | -1.3 | -0.1 | -0.4 | 0.8 | -0.3 | 0.5 | 0 | -2.8 | -0.4 | 0.3 | 0.9 | -0.7 | -3.4 |
| 2016 | 0.6 | 1.4 | 0.2 | -0.5 | 0 | 0.2 | -0.8 | 0 | 0.8 | -1.1 | -0.4 | -0.4 | 0 |
| 2017 | -0.5 | 0.8 | 0 | -0.3 | 1.1 | 0.3 | -0.1 | 0.6 | -0.1 | 0.1 | -0.3 | -0.4 | 1.2 |
| 2018 | -0.4 | -0.7 | 1.2 | -0.5 | 0.4 | 0.1 | -0.9 | -0.2 | 0.5 | 0.9 | 0.6 | 0.5 | 1.6 |
| 2019 | 0 | 0.8 | 1.1 | -0.9 | -1.1 | 0.7 | -0.8 | 0.5 | -1.4 | 1.6 | -0.5 | 0.5 | 0.4 |
| 2020 | -1.5 | -1.7 | -4.8 | -3.8 | 0.6 | 0.1 | -0.5 | 0 | -0.4 | -0.4 | 0.8 | 0.6 | -10.8 |
| 2021 | 0.8 | 1.4 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-16 50.1 SPY 125. -0.0073 -0.00120 -0.013 -0.0415 0.0313 0.232 -0.0071 GLD 57.7 0.0063 -0.0458
2 2006-06-19 49.7 SPY 124. -0.0079 -0.0026 -0.0201 -0.0517 0.019 0.218 -0.0176 GLD 56.4 -0.0229 -0.0611
3 2006-06-20 49.7 SPY 124. 0.0034 0.0126 -0.0237 -0.0424 0.0222 0.241 -0.0057 GLD 57.3 0.0167 0.0247
4 2006-06-21 50.1 SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
5 2006-06-22 49.8 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
6 2006-06-23 49.6 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
